A portmanteau-type test for detecting serial correlation in locally stationary functional time series
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Publication:6166015
DOI10.1007/S11203-022-09285-5arXiv2009.07312OpenAlexW3085525027MaRDI QIDQ6166015FDOQ6166015
Holger Dette, Florian Heinrichs, Axel Bücher
Publication date: 6 July 2023
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Abstract: The Portmanteau test provides the vanilla method for detecting serial correlations in classical univariate time series analysis. The method is extended to the case of observations from a locally stationary functional time series. Asymptotic critical values are obtained by a suitable block multiplier bootstrap procedure. The test is shown to asymptotically hold its level and to be consistent against general alternatives.
Full work available at URL: https://arxiv.org/abs/2009.07312
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Cited In (3)
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- Projection-based white noise and goodness-of-fit tests for functional time series
- Local Gaussian Autocorrelation and Tests for Serial Independence
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